In the field of damage insurance or operational risk management, the total sum of losses to be suffered during a specific period of time in the future is regarded as a probability variable, and a probability distribution function thereof needs to be calculated. Hereinafter, the “specific period of time in the future” is referred to as a holding period, “the total sum of losses to be suffered during the holding period” as a cumulative sum of losses, and the “probability distribution function that the cumulative sum of losses follows” as a loss distribution.
What is disclosed in NPL 1 is an example of a loss distribution calculation system of a related technology for calculating such a loss distribution. As disclosed in NPL1, the loss distribution calculation system typically performs a Monte Carlo simulation in which: a probability distribution about the number of loss events in the holding period (referred to as a frequency distribution, hereinafter), and a probability distribution about the scale of losses in each loss event (referred to as a scale distribution, hereinafter) are input into the loss distribution calculation system; random numbers N that follow the frequency distribution are generated, while N random numbers that follow the scale distribution are generated; a process of calculating the sum thereof as a cumulative sum of losses is performed many times as calculator experiments; and an empirical distribution of the resultant cumulative sum of losses is recognized as a calculation result of the loss distribution. Other publicly known methods include a method of analytically calculating a loss distribution by making a convolution operation more efficient.
In that regard, what is disclosed in PTL 1 is an operational risk quantification device including: a means for reading a transaction amount; a means for reading a loss rate density; a huge loss density calculation means for calculating a huge loss density on the basis of the transaction amount and the loss rate density; and a risk amount calculation means for calculating a risk amount from the calculated huge loss density.
What is disclosed in PTL 2 is an operational risk quantifying device, which quantifies an operational risk from a transaction amount distribution showing the state of distribution of transaction amounts and which includes: a smoothing means for smoothing the transaction amount distribution to create a smoothed transaction amount distribution; and an operational risk calculation means for calculating an operational risk from the smoothed transaction amount distribution created.
What is disclosed in PTL 3 is an operational risk management method for accumulating occurrences of a plurality of events associated with losses and managing an operational risk on the basis of the accumulated events. According to the operational risk management method, the transitional states of a plurality of events are set in response to each of a plurality of events that have occurred; in accordance with each of the transitional states of the events, a risk that will occur is predicted.